What's the difference between tick data, market depth, MBP, L2, L3, and MBO? Data schemas (or "formats") have taken up various names over the years by different market data providers, and have become a common source of confusion. 😬 
Let's clear this up with a quick rundown! ⬇️
1- "Tick data" typically refers only to the prints of last sales, which lacks the granularity of MBO or even MBP data.
1- "Tick data" typically refers only to the prints of last sales, which lacks the granularity of MBO or even MBP data.
2- "Market depth" refers to snapshots of price levels and depth at a fixed number of levels from the top. It's usually interchangeable with market-by-price ("MBP").
3- "L2" generally refers to MBP data, but is sometimes used to refer to MBO instead.
3- "L2" generally refers to MBP data, but is sometimes used to refer to MBO instead.
4- "L3" is a term sometimes used by retail data providers to refer to market-by-order ("MBO") data. However, this term is unorthodox and is rarely used by trading venues.
5- "MBO" refers to incremental order book updates. It allows you to see individual order compositions at each price level, and is more granular than MBP. Oftentimes, it's hard to find a provider of historical MBO data because of the sheer volumes and storage required.
Databento is one of few market #dataproviders that carry all of the schemas mentioned, including historical MBO data. Join our waitlist and see the differences: to.dbn.to/3zg6i73.
#financialdata #marketdata #iykyk #repost
#financialdata #marketdata #iykyk #repost
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